PPL conversion = ? in the US
Multi CPL Conversion = ? in the US
Multi IR Conversion = £5k in the UK
Also if doing the FAA route first, you wouldnt convert your FAA PPL to a JAA one, just go directly for the CPL conversion. The CPL conversion is cheap, probably about $4 - 5k, the same for the JAA FI. Just make sure you get good instuction for the FAA IR, try to get a UK or European instructor who can teach you the European way as well as the FAA way, this way it shouldnt be too hard when you come to convert.
You only need an ICAO PPL (FAA) to start your ATPL theory.